<p>
  The <a href="http://www.finance-directory.org/investing/site/6395">Dual Thrust trading algorithm</a> is a famous strategy developed by Michael Chalek. It has been commonly used in futures, forex and equity markets. The idea of Dual Thrust is similar to a typical breakout system, however dual thrust uses the historical price to construct update the look back period - theoretically making it more stable in any given period.
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<p>
  In this tutorial we give a brief introduction to the strategy and show how to implement this algorithm on QuantConnect. After pulling in the historical price of the chosen stock, the range is calculated based on the close, high and low over the most recent N-days.  A position is opened when the market moves a certain range from the opening price. We tested the strategy on individual stocks under two market states: a trending market and range bound market.  The results suggest this momentum trading system works better in trending market but will trigger some fake buy and sell signals in much more volatile market. Under the range bound market, we can adjust the parameters to get better return. As a comparison of individual stocks, we also implemented the strategy on SPY. The result suggested that the strategy beat the market.
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